On Exponential Local Martingales Connected with Diffusion Processes

DOI10.1002/MANA.19841190108MaRDI QIDQ3680025zbMATH OpenOpenAlexFDO

Authors H.-J. Engelbert, Wolfgang M. Schmidt

Publication date 1984

Published in Mathematische Nachrichten (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/mana.19841190108

zbMATH Keywords

exponential local martingaleexistence of weak solutions of stochastic differential equations

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Local time and additive functionals (60J55)

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